Regime switching models : real or spurious long memory ? [PDF]
In this paper, we analyze the possible confusion in terms of long memory behavior of the autocorrelation function of a Markov switching model. Such a model is known to have a short memory behavior.
Dominique Guegan, Stéphanie Rioublanc
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A Markov‐switching spatio‐temporal ARCH model
StatStock market indices are volatile by nature, and sudden shocks are known to affect volatility patterns. The autoregressive conditional heteroskedasticity (ARCH) and generalized ARCH (GARCH) models neglect structural breaks triggered by sudden shocks that may lead to an overestimation of persistence, causing an upward bias in the estimates.
Khoo, Tzung Hsuen +3 more
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Realised and Optimal Monetary Policy Rules in an Estimated Markov-Switching DSGE Model of the United Kingdom [PDF]
This paper conducts a systematic investigation of parameter instability in a small open economy DSGE model of the UK economy over the past thirty-five years.
Ronald MacDonald, Xiaoshan Chen
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Optimal monetary policy with a regime-switching exchange rate in a forward-looking model [PDF]
We evaluate the macroeconomic performance of different monetary policy rules when there is exchange rate uncertainty. We do this in the context of a non-linear rational expectations model.
Fernando Alexandre +2 more
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Can Markov-regime switching models improve power price forecasts? Evidence for German daily power prices [PDF]
Nonlinear autoregressive Markov regime-switching models are intuitive and frequently proposed time series approaches for the modelling of electricity spot prices.
Kosater, Peter, Mosler, Karl
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Multivariate Markov switching with weighted regime determination: giving France more weight than Finland [PDF]
This article deals with using panel data to infer regime changes that are common to all of the cross section. The methods presented here apply to Markov switching vector autoregressions, dynamic factor models with Markov switching and other multivariate ...
Martin Sola, Michael J. Dueker
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Bayesian Methods in Nonlinear Time Series [PDF]
This paper reviews the analysis of the threshold autoregressive, smooth threshold autoregressive, and Markov switching autoregressive models from the Bayesian perspective.
Korenok Oleg
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Markov Switching Risk Premium and the term structure of interest rates. Empirical evidence from US post-war interest rates [PDF]
This paper considers the basic present value model of interest rates under rational expectations with two additional features. First, following McCallum (1994), the model assumes a policy reaction function where changes in the short-term interest rate ...
Gutiérrez Huerta, María José +1 more
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Averaging in Markov Models with Fast Markov Switches and Applications to Queueing Models
Annals of Operations Research, 2002 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
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Modeling Real Exchange Rate in Iran using Markov Switching Autoregressive Model [PDF]
پژوهشهای اقتصادی, 2014 This study tries to model real exchange rate using a two-state Markov autoregressive model. The empirical results indicate that the real exchange rate cycles are well explained by a switching autoregressive pattern rather than a simple autoregressive ...
Shahram Fattahi, Minoo Nazifi
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